Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil
The objective of this study is to investigate evidence of cointegration and causality between the market price of the live cattle in Brazil and the prices of the respective derivatives traded on BM&FBOVESPA – São Paulo, Brazil. The Johansen test was used to analyze evidence of cointegration betw...
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| Format: | Article |
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Taylor & Francis Group
2018-01-01
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| Series: | Cogent Business & Management |
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| Online Access: | http://dx.doi.org/10.1080/23311975.2018.1457861 |
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doaj-063aeb0499124859baf9119ad4d9110f2021-02-08T14:35:59ZengTaylor & Francis GroupCogent Business & Management2331-19752018-01-015110.1080/23311975.2018.14578611457861Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in BrazilJanaina Gabrielle Moreira Campos da Cunha Amarante0Tatiana Marceda Bach1Wesley Vieira da Silva2Daniela Matiollo3Alceu Souza4Claudimar Pereira da Veiga5Pontifical Catholic University of Paraná – PUCPRPontifical Catholic University of Paraná – PUCPRBolsista de Produtividade em Pesquisa (PQ2), Conselho Nacional de Desenvolvimento Científico e Tecnológico – CNPqPontifical Catholic University of Paraná – PUCPRPontifical Catholic University of Paraná – PUCPRFederal University of Paraná – UFPRThe objective of this study is to investigate evidence of cointegration and causality between the market price of the live cattle in Brazil and the prices of the respective derivatives traded on BM&FBOVESPA – São Paulo, Brazil. The Johansen test was used to analyze evidence of cointegration between markets. The cointegration of these markets and their bidirectional causality signal to decision-makers in this agribusiness that the variations in BM&FBOVESPA futures contracts cause changes in the prices of the spot prices, as well as the spot prices cause to the futures contracts of B&MFBOVESPA.http://dx.doi.org/10.1080/23311975.2018.1457861futures marketseconometric testsspot pricebrazil |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Janaina Gabrielle Moreira Campos da Cunha Amarante Tatiana Marceda Bach Wesley Vieira da Silva Daniela Matiollo Alceu Souza Claudimar Pereira da Veiga |
| spellingShingle |
Janaina Gabrielle Moreira Campos da Cunha Amarante Tatiana Marceda Bach Wesley Vieira da Silva Daniela Matiollo Alceu Souza Claudimar Pereira da Veiga Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil Cogent Business & Management futures markets econometric tests spot price brazil |
| author_facet |
Janaina Gabrielle Moreira Campos da Cunha Amarante Tatiana Marceda Bach Wesley Vieira da Silva Daniela Matiollo Alceu Souza Claudimar Pereira da Veiga |
| author_sort |
Janaina Gabrielle Moreira Campos da Cunha Amarante |
| title |
Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil |
| title_short |
Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil |
| title_full |
Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil |
| title_fullStr |
Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil |
| title_full_unstemmed |
Econometric analysis of cointegration and causality between markets prices toward futures contracts: Evidence from the live cattle market in Brazil |
| title_sort |
econometric analysis of cointegration and causality between markets prices toward futures contracts: evidence from the live cattle market in brazil |
| publisher |
Taylor & Francis Group |
| series |
Cogent Business & Management |
| issn |
2331-1975 |
| publishDate |
2018-01-01 |
| description |
The objective of this study is to investigate evidence of cointegration and causality between the market price of the live cattle in Brazil and the prices of the respective derivatives traded on BM&FBOVESPA – São Paulo, Brazil. The Johansen test was used to analyze evidence of cointegration between markets. The cointegration of these markets and their bidirectional causality signal to decision-makers in this agribusiness that the variations in BM&FBOVESPA futures contracts cause changes in the prices of the spot prices, as well as the spot prices cause to the futures contracts of B&MFBOVESPA. |
| topic |
futures markets econometric tests spot price brazil |
| url |
http://dx.doi.org/10.1080/23311975.2018.1457861 |
| work_keys_str_mv |
AT janainagabriellemoreiracamposdacunhaamarante econometricanalysisofcointegrationandcausalitybetweenmarketspricestowardfuturescontractsevidencefromthelivecattlemarketinbrazil AT tatianamarcedabach econometricanalysisofcointegrationandcausalitybetweenmarketspricestowardfuturescontractsevidencefromthelivecattlemarketinbrazil AT wesleyvieiradasilva econometricanalysisofcointegrationandcausalitybetweenmarketspricestowardfuturescontractsevidencefromthelivecattlemarketinbrazil AT danielamatiollo econometricanalysisofcointegrationandcausalitybetweenmarketspricestowardfuturescontractsevidencefromthelivecattlemarketinbrazil AT alceusouza econometricanalysisofcointegrationandcausalitybetweenmarketspricestowardfuturescontractsevidencefromthelivecattlemarketinbrazil AT claudimarpereiradaveiga econometricanalysisofcointegrationandcausalitybetweenmarketspricestowardfuturescontractsevidencefromthelivecattlemarketinbrazil |
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